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The problem is that the huge slippage variances among various markets makes
estimating "average slippage" extremely difficult. What will your typical
portfolio mix look like? Slippage, and all costs, can absolutely rip the
heart out of what appears to be a good system. I would stress test your
system with ever increasing slippge until it breaks. When you think you
have determined a reasonable level of costs (what you think will actually
occur), double them and see if it works.
----- Original Message -----
From: "Adam Hardy" <adam.ts@xxxxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Tuesday, July 22, 2008 4:37 AM
Subject: Re: user error?
Stops only, in every market. Which makes slippage worse, but at least
consistently worse across all markets, I assume.
jack zaner on 17/07/08 17:49, wrote:
Also, do you enter/exit using stops, limits, etc?
Regards, Jack.
----- Original Message ----- From: "Adam Hardy"
<adam.ts@xxxxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Thursday, July 17, 2008 9:21 AM
Subject: Re: user error?
Gary Fritz on 17/07/08 17:00, wrote:
Adam Hardy wrote:
Out of interest, since I'm just looking at my slippage setting and
wondering if
it's too much ($50 per round-turn), what level do you use?
That depends hugely on what you're trading. You get very different
slippage on, say, IBM vs. tiger-shrimp futures. :-)
Sorry. I always assume everyone's doing what I'm doing. I'm trading 25
diverse and liquid futures markets. Indices, currencies, energy, ag,
interest rates, metals. I adjusted the TS point value for each market to
reflect their respective volatility, and I'm just hoping that the
slippage will be a factor of the volatility, on average (all other
things being equal).
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